Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Italy ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Italy ETF. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.6%, MDD -44.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.7%, drawdown -75.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.8%, MDD -52.3%, Sharpe 0.31, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 22.8%p (CAGR 2.6%, MDD -44.3%, exposure 52%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=35, slow=106 |
3.8% | -52.3% | 0.31 | 0.07 | 3.1x | 65 | 60% |
| SMA 크로스오버 fast=15, slow=163 |
3.2% | -55.1% | 0.28 | 0.06 | 2.6x | 75 | 58% |
| Donchian 채널 돌파 entryN=84, exitN=70 |
2.6% | -44.3% | 0.25 | 0.06 | 2.2x | 53 | 52% |
| ROC 모멘텀 n=99, threshold=-0.06 |
2.1% | -69.2% | 0.20 | 0.03 | 1.9x | 187 | 70% |
| Supertrend period=23, mult=3.7 |
1.0% | -60.4% | 0.15 | 0.02 | 1.4x | 213 | 57% |
| 볼린저 밴드 돌파 n=67, k=0.9 |
0.7% | -59.5% | 0.12 | 0.01 | 1.3x | 163 | 47% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=28, mult=3.3 |
0.4% | -20.3% | 0.10 | 0.02 | 1.1x | 58 | 8% |
| ADX / DI 방향성 period=38, threshold=30 |
0.1% | -5.2% | 0.08 | 0.02 | 1.0x | 2 | 1% |
| MACD fast=14, slow=29, signal=23 |
-0.4% | -69.4% | 0.06 | -0.01 | 0.9x | 362 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.7% | -73.8% | -0.02 | -0.02 | 0.6x | 273 | 55% |
| Buy and hold | 2.7% | -75.1% | 0.24 | 0.04 | 2.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 35-day EMA crosses above the 106-day EMA
- Sell — Sell when the 35-day EMA falls below the 106-day EMA